CN115760430A - Method, device, storage medium and product for real-time quotation of foreign exchange Asian options - Google Patents

Abstract

The invention discloses a method, a device, a storage medium and a product for real-time quotation of foreign exchange Asian options, which relate to the technical field of data processing, and the method comprises the following steps: acquiring and storing current quotation information of the currency pair; the current quotation information comprises the quotation type of a currency pair, the quotation date and the current quotation, and the current quotation is determined by a quotation system according to the current market exchange rate of the acquired currency pair; determining whether to trigger an Asian option quotation according to the quotation type of the currency pair, and if the triggering of the Asian option quotation is determined, generating a quotation event containing current quotation information; capturing a fixed-disk event through an event listener, and calling an event processor to acquire key information required for performing subfamily option fixed disk on a currency pair from the fixed-disk event; and matching and pricing calculation are carried out on the subfamily option quotation elements according to the key information, and the current quotation price of the subfamily options of the currency pair is obtained.

Description

Method, device, storage medium and product for real-time fixing of foreign exchange Asian options

technical field

The invention relates to the technical field of data processing, in particular to a method, device, storage medium and product for real-time fixing of foreign exchange Asian options.

Background technique

Asian options are also known as average price options, and their strike price is the average value of the underlying asset prices within the average period of the option contract.

The underlying assets of Asian options include stocks, exchange rates, and bonds. The Asian option based on the exchange rate can be called the foreign exchange Asian option, which refers to the option that the option buyer determines the income according to the average value of the specified range when the contract expires. The pre-specified average range, observation frequency, average calculation method, and whether the execution price is fixed or floating can be changed in many ways.

In the prior art, traders usually manually obtain the fixing price in the market on the pricing day during the observation period to determine the fixing price of the Asian option; or the system determines the fixing price at a fixed time every day. The market price is obtained from the trading market to determine the fixing price of the Asian option. When the market quotation is revised, the fixing price of the Asian option will be inaccurate, which will affect the final pricing and trading income of the option transaction.

In view of this, how to determine the real-time and accurate fixing price of foreign exchange Asian options during the observation period has become an urgent technical problem to be solved.

Contents of the invention

The invention provides a method, device, storage medium and product for real-time fixing of foreign exchange Asian options to solve the technical problem existing in the prior art that it is difficult to determine the fixing price of foreign exchange Asian options in real time and accurately during the observation period.

In the first aspect, in order to solve the above-mentioned technical problems, the technical solution of a method for real-time fixing of foreign exchange Asian options provided by the embodiment of the present invention is as follows:

Obtain and store the current quotation information of the currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date and the current quotation, and the current quotation is determined by the quotation system according to the acquired The current market rate of the currency pair is determined;

According to the quotation type of the currency pair, determine whether to trigger the Asian option fixing, if it is determined to trigger the Asian option fixing, generate a fixing event including the current quotation information;

capturing the fixing event through an event listener, and calling an event handler to obtain key information required for fixing the Asian option on the currency pair from the fixing event;

According to the key information, the Asian option fixing elements are matched and calculated to obtain the current fixing price of the Asian option of the currency pair.

A possible implementation manner is to obtain and store the current quotation information of currency pairs, including:

Send the quotation subscription message of the currency pair to the fixed quotation system, so that the fixed quotation system pushes the current quotation information after determining the current quotation of the currency pair; wherein, each time the fixed quotation system obtains the If the current market exchange rate is specified, the current quotation will be generated once;

receiving the quotation subscription message, and obtaining the current quotation from the quotation subscription message;

Store said current quote in a specified location.

A possible implementation manner, according to the quotation type of the currency pair, determining whether to trigger Asian option fixing includes:

Judging whether the currency pair and the quotation type are included in the fixing parameters corresponding to the Asian option fixing;

If yes, determine that the current quotation information triggers the Asian option fixing order;

Otherwise, it is determined that the current quotation information does not trigger the fixing of the Asian option.

A possible implementation manner, the key information required for the Asian option fixing of the currency pair is obtained from the fixing event, including:

Obtaining the quote information from the fixing event;

The quotation information is used as the key information.

In a possible implementation manner, the Asian option trading elements are matched and calculated according to the key information, and the current fixing price of the Asian option of the currency pair is obtained, including:

According to the query conditions of the Asian option fixing order, query the Asian options whose transaction elements match the key information;

storing the current quotation as a quotation record within the observation period of the Asian option;

According to the pricing type of the Asian option, calculate the current average value of the Asian option in the observation period;

The current average value is used as the current fixing price.

A possible implementation manner, storing the current quotation as a quotation record within the observation period of the Asian option includes:

Judging whether there is a historical quotation record with the same quotation date and quotation type during the observation period;

If the historical quotation record does not exist within the observation period, create a quotation record containing the current quotation during the observation period;

If the historical quotation record exists within the observation period, the quotation in the historical quotation record is updated with the current quotation, or the historical quotation record is replaced with the quotation record.

In a possible implementation manner, the quote type is daily quotes of mainstream foreign exchange trading market platforms.

A possible implementation manner, the daily quotation includes:

The Central Bank's middle price, China Foreign Exchange Trading Center CFETS 11-point quotation, BIFIX 14-point quotation.

A possible implementation manner, the query conditions include:

At least one of the quote type, the currency pair, and pricing date.

In the second aspect, the embodiment of the present invention provides a real-time fixing device for foreign exchange Asian options, including:

A quotation processing unit, configured to obtain and store current quotation information of a currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date and the current quotation, and the current quotation is determined by the fixed quotation The system determines based on the obtained current market exchange rate of the currency pair;

A quotation filtering unit, configured to determine whether to trigger Asian option fixing according to the quotation type of the currency pair, and if it is determined to trigger the Asian option fixing, generate a fixing event including the current quotation information;

An event management unit, configured to capture the order-fixing event through an event listener, and call an event processor to obtain key information required for the Asian option order-fixing of the currency pair from the order-fixing event;

The calculation unit is configured to perform matching and pricing calculation on the Asian option fixing elements according to the key information, and obtain the current fixing price of the Asian option on the currency pair.

In a possible implementation manner, the quotation processing unit is further configured to:

Send the quotation subscription message of the currency pair to the fixed quotation system, so that the fixed quotation system pushes the current quotation information after determining the current quotation of the currency pair; wherein, each time the fixed quotation system obtains the If the current market exchange rate is specified, the current quotation will be generated once;

receiving the quotation subscription message, and obtaining the current quotation from the quotation subscription message;

Store said current quote in a specified location.

In a possible implementation manner, the quotation filtering unit is also used for:

Judging whether the currency pair and the quotation type are included in the fixing parameters corresponding to the Asian option fixing;

If yes, determine that the current quotation information triggers the Asian option fixing order;

Otherwise, it is determined that the current quotation information does not trigger the fixing of the Asian option.

In a possible implementation manner, the event management unit is further configured to:

Obtaining the quote information from the fixing event;

The quotation information is used as the key information.

A possible implementation manner, the computing unit is also used for:

According to the query conditions of the Asian option fixing order, query the Asian options whose transaction elements match the key information;

storing the current quotation as a quotation record within the observation period of the Asian option;

According to the pricing type of the Asian option, calculate the current average value of the Asian option in the observation period;

The current average value is used as the current fixing price.

A possible implementation manner, the computing unit is also used for:

Judging whether there is a historical quotation record with the same quotation date and quotation type during the observation period;

If the historical quotation record does not exist within the observation period, create a quotation record containing the current quotation during the observation period;

If the historical quotation record exists within the observation period, the quotation in the historical quotation record is updated with the current quotation, or the historical quotation record is replaced with the quotation record.

In a possible implementation manner, the quote type is daily quotes of mainstream foreign exchange trading market platforms.

A possible implementation manner, the daily quotation includes:

The Central Bank's middle price, China Foreign Exchange Trading Center CFETS 11-point quotation, BIFIX 14-point quotation.

A possible implementation manner, the query conditions include:

At least one of the quote type, the currency pair, and pricing date.

In the third aspect, the embodiment of the present invention also provides a real-time fixing device for foreign exchange Asian options, including:

at least one processor, and

a memory connected to the at least one processor;

Wherein, the memory stores instructions executable by the at least one processor, and the at least one processor executes the method described in the first aspect above by executing the instructions stored in the memory.

In a fourth aspect, the embodiment of the present invention also provides a readable storage medium, including:

memory,

The memory is used to store instructions, and when the instructions are executed by the processor, the device including the readable storage medium completes the method described in the first aspect above.

In a fifth aspect, an embodiment of the present invention further provides a computer program product, including a computer program, and when the computer program is executed by a processor, the method described in the first aspect is implemented.

Through the technical solutions in the above-mentioned one or more embodiments of the embodiments of the present invention, the embodiments of the present invention have at least the following technical effects:

In the embodiment provided by the present invention, by obtaining and storing the current quotation information of the currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date and the current quotation, and the current quotation is determined by the quotation system according to the acquired The current market exchange rate of the currency pair is determined; according to the quotation type of the currency pair, determine whether to trigger the Asian option fixing order. order event, and call the event processor to obtain the key information required for the Asian option fixing of the currency pair from the fixing event; match and calculate the pricing of the Asian option fixing elements according to the key information, and obtain the Asian option of the currency pair The current fixing price of the option. Therefore, the fixing price of foreign exchange Asian options can be automatically determined, and after the market exchange rate is revised, the fixing price can be automatically re-determined, thereby ensuring the accuracy of the fixing price.

Description of drawings

Fig. 1 is a flow chart of a real-time fixing method for foreign exchange Asian options provided by an embodiment of the present invention;

Fig. 2 is a schematic structural diagram of a transaction system provided by an embodiment of the present invention;

Fig. 3 is a schematic structural diagram of a foreign exchange Asian option real-time order fixing device provided by an embodiment of the present invention.

Detailed ways

The embodiment of the present invention provides a method, device, storage medium and product for real-time fixing of foreign exchange Asian options to solve the problem in the prior art that the fixing price of foreign exchange Asian options during the observation period is difficult to determine in real time and accurately question. In the technical solution of this application, the collection, dissemination, and use of data all comply with the requirements of relevant national laws and regulations.

In order to better understand the above technical solutions, the technical solutions of the present invention will be described in detail below through the accompanying drawings and specific examples. It should be understood that the embodiments of the present invention and the specific features in the examples are detailed descriptions of the technical solutions of the present invention, and It is not a limitation to the technical solutions of the present invention, and the embodiments of the present invention and the technical features in the embodiments can be combined with each other under the condition of no conflict.

Please refer to FIG. 1 , the embodiment of the present invention provides a method for real-time order fixing of foreign exchange Asian options, and the process of the method is as follows.

Step 101: Obtain and store the current quotation information of the currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date and the current quotation, and the current quotation is determined by the fixed quotation system according to the obtained current market exchange rate of the currency pair ;

A currency pair is a foreign exchange exchange rate composed of two currencies, represented by two ISO country codes (ISO countrycode) plus a separator, such as EUR (Euro)/USD (US dollar), where the first ISO country code (such as EUR ) for the "primary currency" and another ISO country code (such as USD) for the "secondary currency". A EUR/USD of 1.2500 means you can buy 1 euro for $1.25.

In some embodiments, the quotation type is daily quotation of mainstream foreign exchange trading market platforms.

Daily quotations can be central bank central parity, China Foreign Exchange Trade System (CFETS) 11 o’clock quotation, Bloomberg Fixings (BFIX) 14 o’clock quotation.

Please refer to FIG. 2, which is a schematic structural diagram of a trading system provided by an embodiment of the present invention.

The pricing system can subscribe to the current market exchange rates of all currency pairs from mainstream foreign exchange trading platforms (including foreign exchange trading platform 1 to foreign exchange trading platform n as shown in Figure 2), so that the pricing system can receive any After obtaining the current market exchange rate of the currency pair, the pricing model can be used to determine the current quotation of each currency pair, and then generate the current quotation information of each currency pair.

The trading system can obtain and store the current quotation information of the currency pair from the quotation system according to its own needs, which can be realized in the following ways:

Send the quotation subscription message of the currency pair to the fixed quotation system, so that the fixed quotation system will push the current quotation information after determining the current quotation of the currency pair; among them, the fixed quotation system will generate a current quotation every time it obtains the current market exchange rate; receive quotation subscription message, and get the current quote from the quote subscription message; store the current quote in the specified location.

In the trading system, you can subscribe to the current quotation information of all currency pairs from the fixed quotation system according to your own needs, and you can also subscribe to the current quotation information of some currency pairs from the fixed quotation system. The specific trading system subscribes to which currency pairs from the fixed quotation system. The current quotation information is not limited here.

The trading system subscribes to the current quotation information of the currency pair from the fixed quotation system, and each time the fixed quotation system generates the current quotation information according to the current market exchange rate of the currency pair, it generates quotation subscription information containing the current quotation information and pushes it to the trading system; , at the current moment, the quotation system receives the current market exchange rate of the currency pair USD/CNY (US dollar/RMB) at 11 points CFEFS on November 7, 2022, and generates the current quotation information of USD/CNY accordingly (11 points CFEFS, USD /CNY, 20221107, price 7.25), and the quotation subscription information including the current quotation information, the quotation system will send the quotation subscription information to the trading system; after receiving the quotation subscription information, the trading system will obtain the current quotation of the currency pair from it, And store it in a specified location, for example, store it in the record of November 7, 2022 corresponding to the quotation type of CFEFS11 in the database.

After obtaining and storing the current quotation information of the currency pair, step 102 can be executed.

Step 102: According to the quotation type of the currency pair, determine whether to trigger the Asian option fixing order, and if it is determined to trigger the Asian option fixing order, generate a fixing order event including the current quotation information.

According to the quotation type of the currency pair, determine whether to trigger the Asian option fixing order, which can be achieved in the following ways:

Determine whether the currency pair and quotation type are included in the fixing parameters corresponding to the Asian option fixing order; if yes, determine that the current quotation information triggers the Asian option fixing order; otherwise, determine that the current quotation information does not trigger the Asian option fixing order.

The trading system is configured with the fixing parameters of the Asian option fixing order. The fixing parameters can include the currency pairs that need to be fixed in the Asian option and the corresponding quotation types. For example, the fixing parameters include currency pair 1: USD/CNY , the corresponding quotation types include CFEFS11 points, central bank central parity; currency pair 2: GBP/USD (pound pound/dollar), corresponding quotation types include CFEFS11 points, BIFIX14 points; currency pair 3: AUD/USD (Australian dollar/dollar dollar), The corresponding quotation types include CFEFS11 points, BIFIX14 points...

The current quotation information obtained by the trading system from the received quotation subscription information is: CFEFS11 points, USD/CNY, 20221107, price 7.25. According to the current quotation information, it can be known that the currency pair is USD/CNY, and the quotation type is CFEFS11 points, which matches the currency pair 1: USD/CNY in the fixed order parameters, and the corresponding quotation type is CFEFS11 points, so it can be determined that the current quotation information contains Currency pair and quotation type are included in the fixing parameters, and then the current quotation information can be determined to trigger the Asian option fixing. Furthermore, a fixing event including the above-mentioned current quotation information may be generated.

If the current quotation information obtained by the trading system from the received quotation subscription information is: CFEFS 11 points, JPY/CNY (Japanese yen/RMB), 20221107, price 0.04943561. It can be determined that the currency pairs included in the current quotation information are not included in the fixing parameters, and then it can be determined that the current quotation information does not trigger the Asian option fixing.

The above-mentioned process of determining whether to trigger the Asian option fixing can be regarded as the price filtering process in Figure 2, that is, the trading system filters the received current quotation information to obtain the current quotation information that needs to be fixed for the Asian option.

Step 103 can be executed after the order-fixing event including the current quotation information is generated.

Step 103: capture the fixing event through the event listener, and call the event handler to obtain the key information required for the Asian option fixing of the currency pair from the fixing event;

In some embodiments, obtaining the key information required for Asian option fixing of currency pairs from the fixing event can be achieved in the following ways:

Obtain quotation information from the fixing event; use quotation information as key information.

For example, please continue to refer to Figure 2. There are event listeners and event processors in the trading system. After the trading system captures the fixing event through the event listener, it calls the event processor to obtain the currency pair (such as USD/ CNY) The key information required for Asian option fixing, such as the quotation information in the fixing event as the key information.

After the key information is obtained, step 104 can be executed.

Step 104: Perform matching and pricing calculation on the Asian option fixing elements according to the key information, and obtain the current fixing price of the Asian option on the currency pair.

Matching and pricing calculation of Asian options trading elements based on key information, and obtaining the current fixing price of Asian options on currency pairs can be achieved in the following ways:

According to the query conditions of the Asian option fixing order, query the Asian options whose trading elements match the key information; store the current quotation as a quotation record in the observation period of the Asian option; calculate the current quotation according to the pricing type of the Asian option The current average of Asian options over the observation period; use the current average as the current fix.

The above query conditions include at least one of the quotation type, currency pair, and pricing date, and the transaction elements include the target of the Asian option (ie, the exchange rate), the observation period, and the like.

For example, CFEFS11 points is about the current market exchange rate of the currency pair USD/CNY (USD/RMB) on November 7, 2022, and based on this, the current quotation information of USD/CNY is generated (CFEFS11 points, USD/CNY, 20221107, price 7.25 ), and the quotation subscription information containing the current quotation information, the quotation system sends the quotation subscription information to the trading system; after receiving the quotation subscription information, the trading system obtains the current quotation of the currency pair from it and stores it in the specified location. According to the quotation type (CFEFS11 point) of the currency pair (USD/CNY), the trading system determines to trigger the Asian option fixing and generates a fixing event containing the current quotation information. After the time listener in the trading system captures the fixing event , push it to the event processor, and the event processor obtains the key information needed for the currency pair (USD/CNY) to fix the Asian option from the fixing event, and then according to the quotation type, currency pair, pricing date and other query conditions Query the Asian option 20221107 whose transaction elements match the key information, and assign the current price of 7.25 to the Asian option’s observation period record on November 7, 2022, and according to the pricing type of the Asian option (such as geometric mean/ Arithmetic mean) calculates the current average value of the Asian option within the observation period, and uses the calculated current average as the current fixing price of the Asian option.

If the exchange rate trading platform revises the above-mentioned current market exchange rate at a later time, the pricing quotation system will use the revised current market exchange rate as the latest current market exchange rate to regenerate the current quotation information and provide it to the trading system, and the trading system will re- Determine the fixing price of Asian options. Therefore, the above-mentioned storage of the current quotation as a quotation record within the observation period of the Asian option can be achieved in the following ways:

Determine whether there is a historical quotation record with the same quotation date and quotation type in the observation period; if there is no historical quotation record in the observation period, create a quotation record containing the current quotation during the observation period; if there is a historical quotation record in the observation period, Then update the quotation in the historical quotation record with the current quotation, or replace the historical quotation record with the quotation record.

For example, the observation period of an Asian option on foreign exchange (USD/CNY) in the trading system is from November 5, 2022 to November 10, 2022. This Asian option has included historical quotation records (CFEFS11 points, USD /CNY, 20221107, price 7.25), currently has received the current quotation information (CFEFS11 points, USD/CNY, 20221107, price 7.35), through judgment, we can know that the quotation date of Yibaohan during the above observation period is 20221107 historical quotation records, so You can replace the quotation 7.25 in the historical quotation record with the current quotation 7.35 in the current quotation information, or generate the current quotation record (CFEFS11 points, USD/CNY, 20221107, price 7.35) according to the current quotation information, and replace the historical quotation with the current quotation record Record.

In the embodiment provided by the present invention, by obtaining and storing the current quotation information of the currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date and the current quotation, and the current quotation is determined by the quotation system according to the acquired The current market exchange rate of the currency pair is determined; according to the quotation type of the currency pair, determine whether to trigger the Asian option fixing order. order event, and call the event processor to obtain the key information required for the Asian option fixing of the currency pair from the fixing event; match and calculate the pricing of the Asian option fixing elements according to the key information, and obtain the Asian option of the currency pair The current fixing price of the option. Therefore, the fixing price of foreign exchange Asian options can be automatically determined, and after the market exchange rate is revised, the fixing price can be automatically re-determined, thereby ensuring the accuracy of the fixing price.

In addition, because the current quotation information that needs to be fixed for Asian options is encapsulated into the fixed order event, and the event listener is used to capture the fixed order event, the event processor is used to obtain the currency pair required for Asian option fixed order from the fixed order event. Key information, and then match and calculate the Asian option fixing elements according to the key information, and get the current fixing price of the Asian option of the currency pair, which can make the pricing system push the current quotation information at high frequency and subsequently determine the Asian option fixing price. The process of order price is executed asynchronously, which can avoid the problem of data loss and inaccurate fix price caused by the blockage of the current quotation information pushed due to the need for more time in the subsequent process of determining the Asian option fix price.

Based on the same inventive concept, an embodiment of the present invention provides a device for real-time fixing of foreign exchange Asian options. For the specific implementation of the method for real-time fixing of foreign exchange Asian options of the device, please refer to the description of the method embodiment, and repeat No more details here, please refer to Figure 3, the device includes:

A quotation processing unit 301, configured to obtain and store current quotation information of a currency pair; wherein, the current quotation information includes the quotation type of the currency pair, the currency pair, the quotation date and the current quotation, and the current quotation is determined by a fixed quotation. The quotation system is determined according to the obtained current market exchange rate of the currency pair;

The quotation filtering unit 302 is used to determine whether to trigger the Asian option fixing according to the quotation type of the currency pair, and if it is determined to trigger the Asian option fixing, generate a fixing event including the current quotation information;

An event management unit 303, configured to capture the order-fixing event through an event listener, and call an event processor to obtain key information required for the Asian option order-fixing of the currency pair from the order-fixing event;

The calculation unit 304 is configured to perform matching and pricing calculation on the Asian option fixing elements according to the key information, and obtain the current fixing price of the Asian option on the currency pair.

In a possible implementation manner, the quotation processing unit 301 is further configured to:

Send the quotation subscription message of the currency pair to the fixed quotation system, so that the fixed quotation system pushes the current quotation information after determining the current quotation of the currency pair; wherein, each time the fixed quotation system obtains the If the current market exchange rate is specified, the current quotation will be generated once;

receiving the quotation subscription message, and obtaining the current quotation from the quotation subscription message;

Store said current quote in a specified location.

In a possible implementation manner, the offer filtering unit 302 is further configured to:

Judging whether the currency pair and the quotation type are included in the fixing parameters corresponding to the Asian option fixing;

If yes, determine that the current quotation information triggers the Asian option fixing order;

Otherwise, it is determined that the current quotation information does not trigger the fixing of the Asian option.

In a possible implementation manner, the event management unit 303 is further configured to:

Obtaining the quote information from the fixing event;

The quotation information is used as the key information.

In a possible implementation manner, the computing unit 304 is further configured to:

According to the query conditions of the Asian option fixing order, query the Asian options whose transaction elements match the key information;

storing the current quotation as a quotation record within the observation period of the Asian option;

According to the pricing type of the Asian option, calculate the current average value of the Asian option in the observation period;

The current average value is used as the current fixing price.

In a possible implementation manner, the computing unit 304 is further configured to:

Judging whether there is a historical quotation record with the same quotation date and quotation type during the observation period;

If the historical quotation record does not exist within the observation period, create a quotation record containing the current quotation during the observation period;

If the historical quotation record exists within the observation period, the quotation in the historical quotation record is updated with the current quotation, or the historical quotation record is replaced with the quotation record.

In a possible implementation manner, the quote type is daily quotes of mainstream foreign exchange trading market platforms.

A possible implementation manner, the daily quotation includes:

The Central Bank's middle price, China Foreign Exchange Trading Center CFETS 11-point quotation, BIFIX 14-point quotation.

A possible implementation manner, the query conditions include:

At least one of the quote type, the currency pair, and pricing date.

It should be noted that the division of units in the embodiment of the present application is schematic, and is only a logical function division, and there may be another division manner in actual implementation. In addition, each functional unit in each embodiment of the present application may be integrated into one processing unit, each unit may exist separately physically, or two or more units may be integrated into one unit. The above-mentioned integrated units can be implemented in the form of hardware or in the form of software functional units.

If the integrated unit is implemented in the form of a software function unit and sold or used as an independent product, it can be stored in a processor-readable storage medium. Based on this understanding, the technical solution of the present application is essentially or part of the contribution to the prior art or all or part of the technical solution can be embodied in the form of a software product, and the computer software product is stored in a storage medium , including several instructions to make a computer device (which may be a personal computer, a server, or a network device, etc.) or a processor (processor) execute all or part of the steps of the methods described in the various embodiments of the present application. The aforementioned storage medium includes: U disk, mobile hard disk, read-only memory (Read-Only Memory, ROM), random access memory (Random Access Memory, RAM), magnetic disk or optical disk and other various media that can store program codes. .

It should be noted here that the above-mentioned device provided by the embodiment of the present invention can realize all the method steps realized by the above-mentioned method embodiment, and can achieve the same technical effect. The part and the beneficial effect are described in detail.

Based on the same inventive concept, an embodiment of the present invention provides a device for real-time fixing of foreign exchange Asian options, including: at least one processor, and

a memory connected to the at least one processor;

Wherein, the memory stores instructions executable by the at least one processor, and the at least one processor executes the above-mentioned method for real-time fixing of foreign exchange Asian options by executing the instructions stored in the memory.

Based on the same inventive concept, an embodiment of the present invention also provides a readable storage medium, including:

memory,

The memory is used to store instructions, and when the instructions are executed by the processor, the device including the readable storage medium completes the above-mentioned method for real-time fixing of foreign exchange Asian options.

Based on the same inventive concept, an embodiment of the present invention also provides a computer program product, including a computer program, which implements the above-mentioned method for real-time fixing of foreign exchange Asian options when the computer program is executed by a processor.

The readable storage medium can be any available medium or data storage device that can be accessed by a processor, including volatile memory or nonvolatile memory, or can include both volatile memory and nonvolatile memory. By way of example and not limitation, nonvolatile memory may include read-only memory (Read-Only Memory, ROM), programmable ROM (Programmable read-only memory, PROM), electrically programmable ROM (Erasable Programmable Read-Only Memory , EPROM), electrically erasable programmable ROM (Electrically Erasable Programmableread only memory, EEPROM) or flash memory, solid state hard disk (Solid State Disk or Solid StateDrive, SSD), magnetic memory (such as floppy disk, hard disk, magnetic tape, magneto-optical disk (Magneto-Optical disc, MO, etc.), optical storage (such as CD, DVD, BD, HVD, etc.). Volatile memory can include random access memory (Random Access Memory, RAM), which can act as external cache memory. By way of example and not limitation, RAM can be obtained in various forms, such as dynamic RAM (Dynamic Random Access Memory, DRAM), synchronous DRAM (Synchronous Dynamic Random-Access Memory, SDRAM), double data rate SDRAM (Double DataRate SDRAM, DDR SDRAM), enhanced SDRAM (Enhanced Synchronous DRAM, ESDRAM), synchronous link DRAM (Sync Link DRAM, SLDRAM). The storage devices of the disclosed aspects are intended to include, but are not limited to, these and other suitable types of memory.

Those skilled in the art should understand that the embodiments of the present invention may be provided as methods, systems, or program products. Accordingly, embodiments of the invention may take the form of an entirely hardware embodiment, an entirely software embodiment, or an embodiment combining software and hardware aspects. Furthermore, embodiments of the present invention may employ a computer program product implemented on one or more readable storage media (including but not limited to disk storage, CD-ROM, optical storage, etc.) having computer/processor usable program code embodied therein form.

Embodiments of the present invention are described with reference to flowcharts and/or block diagrams of methods, devices (systems), and computer program products according to embodiments of the present invention. It should be understood that each procedure and/or block in the flowchart and/or block diagram, and a combination of procedures and/or blocks in the flowchart and/or block diagram can be realized by computer program instructions. These program instructions may be provided to a general purpose computer, special purpose computer, embedded processor, or processor of other programmable data processing equipment to produce a machine such that instructions executed by the processor of the computer or other programmable data processing equipment produce a machine for A device for realizing the functions specified in one or more procedures of a flowchart and/or one or more blocks of a block diagram.

These program instructions may also be stored in a readable memory capable of directing a computer or other programmable data processing apparatus to operate in a specific manner, such that the instructions stored in the readable memory produce an article of manufacture comprising instruction means implemented in a Flowchart A process or processes and/or a block diagram with a function specified in a block or blocks.

These program instructions can also be loaded into a computer or other programmable data processing device, so that a series of operation steps are executed on the computer or other programmable device to produce a computer/processor-implemented process, so that the computer/processor or other programmable The instructions executed on the programming device provide steps for realizing the functions specified in one or more procedures of the flowchart and/or one or more blocks of the block diagram.

Obviously, those skilled in the art can make various changes and modifications to the present invention without departing from the spirit and scope of the present invention. Thus, if these modifications and variations of the present invention fall within the scope of the claims of the present invention and their equivalent technologies, the present invention also intends to include these modifications and variations.

Claims (13)

1. A method for real-time quotation of foreign exchange Asian options, comprising:

acquiring and storing current quotation information of the currency pair; the current quotation information comprises the quotation type of the currency pair, the quotation date and the current quotation, and the current quotation is determined by a quotation system according to the acquired current market exchange rate of the currency pair;

determining whether to trigger an Asian option quotation according to the quotation type of the currency pair, and if the Asian option quotation is determined to be triggered, generating a quotation event containing the current quotation information;

capturing the fixed-disk event through an event listener, and calling an event processor to acquire key information required for performing the Asian option fixed disk on the currency pair from the fixed-disk event;

and matching and pricing calculation are carried out on the subfamily option quotation elements according to the key information, and the current quotation price of the subfamily options of the currency pair is obtained.

2. The method of claim 1, wherein obtaining and storing current bid information for a currency pair comprises:

sending a quote subscription message of the currency pair to the bid system, so that the bid system pushes the current quote information after determining the current quote of the currency pair; wherein the pricing and quotation system generates the current quotation once per obtaining the current market rate;

receiving the quotation subscription message, and acquiring the current quotation from the quotation subscription message;

storing the current offer at a specified location.

3. The method of claim 1, wherein determining whether to trigger an Asian option dial based on a bid type of the currency pair comprises:

judging whether the currency pair and the quotation type are contained in the quotation parameters corresponding to the Asian option quotation;

if yes, determining that the current quotation information triggers the Asian option quotation plate;

otherwise, determining that the current quotation information does not trigger the Asian option quotation.

4. A method according to any of claims 1-3, wherein obtaining key information from the price fixing event required to make the asian option price fixing for the currency pair comprises:

acquiring the quotation information from the fixed-disc event;

and taking the quotation information as the key information.

5. The method of claim 4, wherein matching and pricing the Asian option trading elements based on the key information to obtain a current quotation price for the Asian options of the currency pair comprises:

inquiring the subformula option matched with the transaction element and the key information according to the inquiry condition of the subformula option fixed disk;

storing the current offer as a record of offers during an observation period of the Asian option;

calculating the current average value of the current subfamily options in the observation period according to the pricing types of the subfamily options;

and taking the current average value as the current price for fixing the disk.

6. The method of claim 5, wherein storing the current bid as a record of bids during the observation period of the Asian option comprises:

judging whether a historical quotation record with the same quotation date and the same quotation type exists in the observation period;

if the historical quotation record does not exist in the observation period, establishing a quotation record containing the current quotation in the observation period;

and if the historical quotation record exists in the observation period, updating quotation in the historical quotation record by using the current quotation, or replacing the historical quotation record by using the quotation record.

7. The method of claim 4, wherein the offer type is a daily offer for a mainstream forex trading market platform.

8. The method of claim 7, wherein the daily quote comprises:

central row intermediate price, china foreign exchange trading center CFETS11 point quotation, BIFIX14 point quotation.

9. The method of claim 4, wherein the query condition comprises:

at least one of the offer type, the currency pair, a pricing date.

10. An apparatus for real-time quotation of foreign exchange Asian options, comprising:

the quotation processing unit is used for acquiring and storing the current quotation information of the currency pair; the current quotation information comprises the quotation type of the currency pair, the quotation date and the current quotation, and the current quotation is determined by a quotation system according to the acquired current market exchange rate of the currency pair;

the quotation filtering unit is used for determining whether to trigger an Asian option quotation according to the quotation type of the currency pair, and if the Asian option quotation is determined to be triggered, a quotation event containing the current quotation information is generated;

the event management unit is used for capturing the fixed-disk events through an event listener and calling an event processor to acquire key information required for performing the Asian option fixed disk on the currency pair from the fixed-disk events;

and the calculating unit is used for matching and pricing the subfamily option quotation elements according to the key information to obtain the current quotation price of the subfamily options of the currency pair.

11. An apparatus for real-time quotation of foreign exchange Asian options, comprising:

at least one processor, and

a memory coupled to the at least one processor;

wherein the memory stores instructions executable by the at least one processor, the at least one processor performing the method of any one of claims 1-9 by executing the instructions stored by the memory.

12. A readable storage medium, comprising a memory,

the memory is for storing instructions that, when executed by the processor, cause an apparatus comprising the readable storage medium to perform the method of any of claims 1-9.

13. A computer program product, characterized in that it comprises a computer program which, when being executed by a processor, carries out the method of any one of claims 1-9.

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